European Option Pricing Formula in Risk-Aversive Markets

Table 5

Parameter estimation of , , and for call options.

24.40	0.046575	2870	0.039320	0.064659	0.089997
21.50	0.046575	2875	−0.029375	−0.004037	0.021302
10.60	0.046575	2900	−0.371070	−0.345732	−0.320393
4.50	0.046575	2925	−0.709832	−0.684493	−0.659155
3.85	0.046575	2930	−0.777237	−0.751898	−0.726559
3.14	0.046575	2935	−0.844526	−0.819188	−0.793849
1.67	0.046575	2950	−1.045710	−1.020372	−0.995033
0.65	0.046575	2975	−1.378754	−1.353416	−1.328077
0.60	0.046575	2980	−1.445027	−1.419689	−1.394350
46.15	0.126027	2870	0.104771	0.146452	0.188133
44.00	0.126027	2875	0.063010	0.104691	0.146371
31.00	0.126027	2900	−0.144713	−0.103032	−0.061351
19.35	0.126027	2925	−0.350653	−0.308972	−0.267291
7.00	0.126027	2975	−0.757303	−0.715622	−0.673941
3.73	0.126027	3000	−0.958073	−0.916392	−0.874711
3.30	0.126027	3005	−0.998026	−0.956345	−0.914664
2.50	0.126027	3015	−1.077733	−1.036052	−0.994371
66.70	0.221918	2870	0.152504	0.207814	0.263123
63.80	0.221918	2875	0.121033	0.176343	0.231652
48.60	0.221918	2900	−0.035505	0.019805	0.075114
36.70	0.221918	2925	−0.190699	−0.135390	−0.080080
28.32	0.221918	2940	−0.283181	−0.227871	−0.172561
27.70	0.221918	2950	−0.344573	−0.289263	−0.233954
13.03	0.221918	3000	−0.648446	−0.593137	−0.537827
6.00	0.221918	3050	−0.947297	−0.891987	−0.836678
3.10	0.221918	3100	−1.241288	−1.185978	−1.130669
0.85	0.221918	3200	−1.815306	−1.759996	−1.704686
28.30	0.298630	2975	−0.377841	−0.313680	−0.249519
21.90	0.298630	3000	−0.508267	−0.444106	−0.379945
17.00	0.375342	3050	−0.637911	−0.565980	−0.494048
42.20	0.471233	3000	−0.313762	−0.233165	−0.152567
15.10	0.471233	3100	−0.720596	−0.639998	−0.559401
133.50	0.720548	2875	0.279420	0.379083	0.478746
69.70	0.720548	3000	−0.147614	−0.047950	0.051713
33.36	0.720548	3100	−0.476619	−0.376956	−0.277292
27.50	0.720548	3125	−0.557212	−0.457549	−0.357885
15.70	0.720548	3200	−0.795178	−0.695515	−0.595852
7.00	0.720548	3300	−1.103934	−1.004271	−0.904607
75.30	0.797260	3000	−0.109289	−0.004455	0.100380
18.70	0.797260	3200	−0.724912	−0.620077	−0.515243
52.44	0.969863	3100	−0.319343	−0.203716	−0.088089